private bool BuildPortfolioRow(List <HugoDataSet.PortfolioRow> subscribeList, List <string> indicesForNetting, HugoDataSet.CurrentPositionsRow positionRow, int updateCounter)
{
try
{
bool bCheckForNetting;
bCheckForNetting = false;
HugoDataSet.PortfolioRow portfolioRow = m_portfolio.Rows.Find(new string[] { positionRow.AcctName, positionRow.Symbol }) as HugoDataSet.PortfolioRow;
if (portfolioRow == null)
{
bCheckForNetting = true;
portfolioRow = m_portfolio.NewPortfolioRow();
portfolioRow.AcctName = positionRow.AcctName;
portfolioRow.Symbol = positionRow.Symbol;
if (!positionRow.IsExpirationDateNull())
{
portfolioRow.ExpirationDate = positionRow.ExpirationDate;
}
if (!positionRow.IsStrikePriceNull())
{
portfolioRow.StrikePrice = positionRow.StrikePrice;
}
if (!positionRow.IsOptionTypeNull())
{
portfolioRow.OptionType = positionRow.OptionType;
}
if (!positionRow.IsUnderlyingSymbolNull())
{
portfolioRow.UnderlyingSymbol = positionRow.UnderlyingSymbol;
}
// Two multipliers are necessary
// Multiplier is used to determine the deltas on the associated index
// PriceMultiplier is used to determine the market value fo the option itself
portfolioRow.Multiplier = (short)Math.Round(positionRow.Multiplier * positionRow.AssociatedIndexMultiplier, 0);
portfolioRow.PriceMultiplier = positionRow.Multiplier;
portfolioRow.IsStock = positionRow.IsStock;
portfolioRow.IsOption = positionRow.IsOption;
portfolioRow.IsFuture = positionRow.IsFuture;
m_portfolio.Rows.Add(portfolioRow);
}
else
{
// if current position has changed, we must perform netting
if (portfolioRow.Current_Position != positionRow.Current_Position)
{
bCheckForNetting = true;
}
}
portfolioRow.Current_Position = positionRow.IsCurrent_PositionNull() ? 0 : positionRow.Current_Position;
portfolioRow.SOD_Position = positionRow.IsSOD_PositionNull() ? 0 : positionRow.SOD_Position;
portfolioRow.SOD_Price = positionRow.SOD_Price;
portfolioRow.SOD_Market_Value = positionRow.SOD_Market_Value;
portfolioRow.Change_in_Position = positionRow.Change_in_Position;
portfolioRow.Change_in_Cost = positionRow.Change_in_Cost;
portfolioRow.Current_Cost = positionRow.Current_Cost;
portfolioRow.UpdateCounter = updateCounter;
if (IsSubscribed && (portfolioRow.SubscriptionStatus != SubscriptionStatus.Subscribed.ToString()))
{
// must subscribe to stocks with 0 positions in case we have associated options (so we can calculated dollar deltas)
if ((portfolioRow.Current_Position != 0) || (portfolioRow.SOD_Position != 0) || (portfolioRow.IsStock == 1))
{
portfolioRow.SubscriptionStatus = SubscriptionStatus.Subscribed.ToString();
subscribeList.Add(portfolioRow);
}
}
if (bCheckForNetting)
{
if ((portfolioRow.IsOption == 1) || (portfolioRow.IsFuture == 1))
{
if (!indicesForNetting.Contains(portfolioRow.UnderlyingSymbol))
{
indicesForNetting.Add(portfolioRow.UnderlyingSymbol);
}
}
}
return(true);
}
catch (Exception ex)
{
PositionMonitorUtilities.Error(Name + " unable to build portfolio row", ex);
return(false);
}
}
private bool UpdatePortfolio(HugoDataSet.CurrentPositionsRow[] rows)
{
try
{
List <HugoDataSet.PortfolioRow> m_subscribeList = new List <HugoDataSet.PortfolioRow>();
List <string> m_unsubscribeList = new List <string>();
lock (m_portfolioLock)
{
foreach (HugoDataSet.CurrentPositionsRow positionRow in rows)
{
HugoDataSet.PortfolioRow portfolioRow = m_portfolio.Rows.Find(new string[] { positionRow.AcctName, positionRow.Symbol }) as HugoDataSet.PortfolioRow;
if (portfolioRow == null)
{
portfolioRow = m_portfolio.NewPortfolioRow();
portfolioRow.AcctName = positionRow.AcctName;
portfolioRow.Symbol = positionRow.Symbol;
if (!positionRow.IsExpirationDateNull())
{
portfolioRow.ExpirationDate = positionRow.ExpirationDate;
}
if (!positionRow.IsStrikePriceNull())
{
portfolioRow.StrikePrice = positionRow.StrikePrice;
}
if (!positionRow.IsOptionTypeNull())
{
portfolioRow.OptionType = positionRow.OptionType;
}
portfolioRow.IsStock = positionRow.IsStock;
portfolioRow.IsOption = positionRow.IsOption;
portfolioRow.IsFuture = positionRow.IsFuture;
m_portfolio.Rows.Add(portfolioRow);
}
portfolioRow.SOD_Position = positionRow.SOD_Position;
portfolioRow.SOD_Price = positionRow.SOD_Price;
portfolioRow.SOD_Market_Value = positionRow.SOD_Market_Value;
portfolioRow.Change_in_Position = positionRow.Change_in_Position;
portfolioRow.Change_in_Cost = positionRow.Change_in_Cost;
portfolioRow.Current_Position = positionRow.Current_Position;
portfolioRow.Current_Cost = positionRow.Current_Cost;
if (IsSubscribed && (portfolioRow.SubscriptionStatus != SubscriptionStatus.Subscribed.ToString()) && !portfolioRow.IsCurrent_PositionNull())
{
if (portfolioRow.Current_Position != 0)
{
portfolioRow.SubscriptionStatus = SubscriptionStatus.Subscribed.ToString();
m_subscribeList.Add(portfolioRow);
}
}
}
foreach (HugoDataSet.PortfolioRow portfolioRow in m_portfolio.Rows)
{
if ((portfolioRow.Current_Position == 0) && (portfolioRow.SubscriptionStatus == SubscriptionStatus.Subscribed.ToString()))
{
portfolioRow.SubscriptionStatus = SubscriptionStatus.Unsubscribed.ToString();
m_unsubscribeList.Add(portfolioRow.Symbol);
}
}
}
if (IsSubscribed)
{
if (m_subscribeList.Count > 0)
{
foreach (HugoDataSet.PortfolioRow row in m_subscribeList)
{
m_messageUtilities.Subscribe(row.Symbol, row.QuoteType, row);
}
PositionMonitorUtilities.Info(String.Format("{0} subscribed to {1} new symbols", Name, m_subscribeList.Count));
}
if (m_unsubscribeList.Count > 0)
{
foreach (string ticker in m_unsubscribeList)
{
m_messageUtilities.Unsubscribe(ticker);
}
PositionMonitorUtilities.Info(String.Format("{0} unsubscribed from {1} symbols", Name, m_unsubscribeList.Count));
}
}
}
catch (Exception ex)
{
PositionMonitorUtilities.Error("Unable to fill current position table " + Name, ex);
return(false);
}
return(true);
}